Only one object usable in face select
Since one must be in edit mode to select a face, and one can only have one object active at a time, it is outside of the design parameters of Blender to be able to select faces on multiple objects at once. 

This is not to say that you cannot apply the same material to faces on different object, you just have to select each object in turn (in object mode), switch to edit mode, and select the desired face(s), and apply the desired material.